dselivanov / convbondLinks
convertible bond pricing
☆13Updated 11 years ago
Alternatives and similar repositories for convbond
Users that are interested in convbond are comparing it to the libraries listed below
Sorting:
- ☆18Updated 7 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆18Updated 6 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆14Updated 4 years ago
- Python demo code for LOBSTER limit order book data☆13Updated 5 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆16Updated 2 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆11Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆13Updated 2 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- ☆22Updated 7 years ago
- ☆16Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 4 years ago
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆12Updated 7 years ago
- ☆25Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆23Updated 8 years ago
- ☆24Updated 5 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆21Updated last year
- Option Strategy for Futures☆16Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Updated 4 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Updated 4 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆38Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Market making strategies and scientific papers☆14Updated 2 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆17Updated 2 years ago
- ☆19Updated 5 years ago
- SABR Implied volatility asymptotics☆24Updated 5 years ago